Inflation Uncertainty and Expected Returns on Treasury Bills

Bibliographic Data

ID10177876
AuthorsEugene F Fama (corresponding author)
Year1976
Volume84
Issue3
Pages427-448
Publication date1976-06-01
Peer ReviewedYes
Open AccessNo
TypeARTICLE
VenueJournal of Political Economy (JOURNAL)
Journal identifiersISSN: 0022-3808 • E-ISSN: 1537-534X
PublisherUniversity of Chicago Press (PUBLISHER • US)
DOI10.1086/260453
OpenAlexW2021237350
LanguageEN
Citations received6
References cited3

At time t-1 there is uncertainty about the rate of inflation that will be observed between t-1 and t, and there is uncertainty about the expected values of future rates of inflation that will be assessed at t. The attempts to identify variation through time in expected real returns on Treasury bills as a function of the uncertainty of the inflation rate are unsuccessful. It is argued, however, that uncertainty of the inflation rate doesn't change much during the sample period (1953-71). Variation through time in uncertainty about future assessments of expected rates of inflation seems somewhat more systematic, and perhaps as a consequence relationships between this source of inflation uncertainty and expected real returns and premiums are found

Econometrics · Economics · Financial economics · Inflation (cosmology · Inflation rate · Interest rate · Monetary economics · Physics · Real interest rate · Treasury · Financial Markets and Investment Strategies · Housing Market and Economics · Monetary Policy and Economic Impact

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